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Do long-memory GARCH-type-value-at-risk models outperform none-and semi-parametric value-at-risk models?
Buberkoku, Onder - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 2, pp. 199-215
Persistent link: https://www.econbiz.de/10012027037
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Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns
Adcock, Christopher J. - 2013
Persistent link: https://www.econbiz.de/10013090404
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Size does matter : a study on the required window size for optimal quality market risk models
Buczyńsk, Mateusz; Chlebus, Marcin - 2020
Persistent link: https://www.econbiz.de/10012322119
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Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory
Brauchler, Ryan - 2012
extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES … estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor … contrast them with the popular Gaussian GARCH estimator in an extensive Monte Carlo simulation. The method we propose generally …
Persistent link: https://www.econbiz.de/10013100621
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Semi-parametric method for estimating tail related risk measures in the stock market
Lee, Ho Jin - In: The Korean economic review 32 (2016) 2, pp. 295-329
Persistent link: https://www.econbiz.de/10011649371
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A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao; Gerlach, Richard; Chen, Qian - In: Quantitative finance 23 (2023) 2, pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
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Estimating tail-risk using semiparametric conditional variance with an application to meme stocks
D'Addona, Stefano; Khanom, Najrin - In: International review of economics & finance : IREF 82 (2022), pp. 241-260
Persistent link: https://www.econbiz.de/10013543110
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A new semiparametric mirrored historical simulation value-at-risk model
Radivojević, Nikola; Filipović, Luka; Brzaković, … - In: Romanian journal of economic forecasting 23 (2020) 1, pp. 5-21
Persistent link: https://www.econbiz.de/10012421878
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Value at risk estimation for heavy tailed distributions
Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125
Persistent link: https://www.econbiz.de/10010241908
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Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82
Persistent link: https://www.econbiz.de/10011441011